Essays about: "thesis in statistics pricing"

Showing result 1 - 5 of 52 essays containing the words thesis in statistics pricing.

1. 1. Credit Exposure Modelling Using Differential Machine Learning

   University essay from Lunds universitet/Matematisk statistik

   Author : Måns Karp; Samuel Wagner; [2023]
   Keywords : Counterparty credit risk; Differential machine learning; Exposure modelling; Heston model; Option pricing; Mathematics and Statistics;

   Abstract : Exposure modelling is a critical aspect of managing counterparty credit risk, and banks worldwide invest significant time and computational resources in this task. One approach to modelling exposure involves pricing trades with a counterparty in numerous potential future market scenarios. READ MORE

3. 2. How Unlucky People Continue to be Unlucky: : A Study of the Predictive Capabilities of Insurance Claim Data

   University essay from KTH/Matematisk statistik

   Author : Jacob Gustavsson; Alex Lövgren; [2023]
   Keywords : Regression Analysis; Generalized Linear Model; Logistic Regression; Insurance; Insurance Pricing; Insurance Risk; Insurance Claim Types; Regressionsanalys; Generaliserad Linjär Modell; Logistisk Regression; Försäkring; Prissättning inom Försäkring; Typer av Ersättningsanspråk;

   Abstract : This bachelor thesis in the field of mathematical statistics was carried out in collaboration with an upcoming insurance start-up, Hedvig, and had the objective of investigating the predictive capabilities of different types of insurance claims. This was done through regression analysis, and more specifically the area in regression analysis called generalized linear models. READ MORE

4. 3. An Artificial Neural Network Approach to Algorithmic Trading

   University essay from Lunds universitet/Matematisk statistik

   Author : Timmie Bengtsson; [2023]
   Keywords : Financial Markets; Machine Learning; Long Short-Term Memory; Gated Recurrent Unit; Recurrent Neural Networks; Time Series Analysis; Algorithmic Trading; Mathematics and Statistics;

   Abstract : The field of machine learning has advanced significantly in recent decades, and, at the same time, computational power has improved to the point where training large machine learning models, such as artificial neural networks, is now accessible. Consequently, there has been a rise in the use of these models within the financial sector, with some firms leveraging them to assist with investment decisions. READ MORE

5. 4. Spatial Statistical Modelling of Insurance Claim Frequency

   University essay from Lunds universitet/Matematisk statistik

   Author : Daniel Faller; [2022]
   Keywords : Insurance risk; claim frequency; Markov chain Monte Carlo MCMC ; Riemann manifold Metropolis adjusted Langevin algorithm MMALA ; spatial statistics; Gaussian Markov random field GMRF ; preconditioned Crank Nicolson Langevin algorithm pCNL ; Gibbs sampling; Bayesian hierarchical modelling; high dimensional; shrinkage prior; horseshoe prior; regularisation.; Mathematics and Statistics;

   Abstract : In this thesis a fully Bayesian hierarchical model that estimates the number of aggregated insurance claims per year for non-life insurances is constructed using Markov chain Monte Carlo based inference with Riemannian Langevin diffusion. Some versions of the model incorporate a spatial effect, viewed as the relative spatial insurance risk that originates from a policyholder's geographical location and where the relative spatial insurance risk is modelled as a continuous spatial field. READ MORE

6. 5. Monte-Carlo Based Pricing of American Options Using Known Characteristics of the Expected Continuation Value Function

   University essay from Lunds universitet/Matematisk statistik

   Author : Olle Ottander; Fredrik Lindstedt; [2022]
   Keywords : Option; American Option; Monte-Carlo; Least-Square; Black-Scholes; Merton; Finite Moment Log Stable; FMLS; Heston; Expected Continuation Value; Mathematics and Statistics;

   Abstract : The problem of pricing American stock options is far more complex than pricing European options due to the possibility of early execution. This feature means that the decision to either hold on to the option or exercising it early must be continually evaluated, leading to closed form solutions such as the Black-Scholes Formula to not be applicable on American options written on dividend paying assets. READ MORE